What do you people free the meory if it's NEW at one thread, and needs to be used in another thread?

I try to free it in the received thread, but get error message at debug environment.

Code may look like:

Thread A:

char* pBuffer = new char[nLength]; //New memory
strcpy((char *)pBuffer, (LPCTSTR) strPacket);
m_pCWndParent->PostMessage(WM_GETBUFFER,
(WPARAM)nLength, (LPARAM)pBuffer);

Thread B:

BOOL CxxxDlg::ReceivedData(int nByte, char* pBuffer)
{
....
CString strBuffer = pBuffer;
....
delete pBuffer;//ERROR while running here
}

It seems I cannot free the meory in another thread? Then where is the suitable place for me to free the memory?